Random Matrices and Non-Commutative Probability - Softcover

Bose, Arup

Softcover

ISBN 10: 0367705001 ISBN 13: 9780367705008

Publisher: Chapman and Hall/CRC, 2024

Synopsis

This is an introductory book on Non-Commutative Probability or Free Probability and Large Dimensional Random Matrices. Basic concepts of free probability are introduced by analogy with classical probability in a lucid and quick manner. It then develops the results on the convergence of large dimensional random matrices, with a special focus on the interesting connections to free probability. The book assumes almost no prerequisite for the most part. However, familiarity with the basic convergence concepts in probability and a bit of mathematical maturity will be helpful.

• Combinatorial properties of non-crossing partitions, including the Möbius function play a central role in introducing free probability.

• Free independence is defined via free cumulants in analogy with the way classical independence can be defined via classical cumulants.

• Free cumulants are introduced through the Möbius function.

• Free product probability spaces are constructed using free cumulants.

• Marginal and joint tracial convergence of large dimensional random matrices such as the Wigner, elliptic, sample covariance, cross-covariance, Toeplitz, Circulant and Hankel are discussed.

• Convergence of the empirical spectral distribution is discussed for symmetric matrices.

• Asymptotic freeness results for random matrices, including some recent ones, are discussed in detail. These clarify the structure of the limits for joint convergence of random matrices.

• Asymptotic freeness of independent sample covariance matrices is also demonstrated via embedding into Wigner matrices.

• Exercises, at advanced undergraduate and graduate level, are provided in each chapter.

About this title

About the Author

Arup Bose is on the faculty of the Theoretical Statistics and Mathematics Unit, Indian Statistical Institute, Kolkata, India. He has research contributions in statistics, probability, economics and econometrics. He is a Fellow of the Institute of Mathematical Statistics (USA), and of all three national science academies of India. He is a recipient of the S.S. Bhatnagar Prize and the C.R. Rao Award and holds a J.C.Bose National Fellowship. He has been on the editorial board of several journals. He has authored four books: Patterned Random Matrices, Large Covariance and Autocovariance Matrices (with Monika Bhattacharjee), U-Statistics, Mm-Estimators and Resampling (with Snigdhansu Chatterjee) and Random Circulant Matrices (with Koushik Saha).

Edition details

• Publisher: Chapman and Hall/CRC
• Publication date: 2024
• Language: English
• ISBN 10: 0367705001
• ISBN 13: 9780367705008
• Binding: Paperback
• Edition number: 1
• Number of pages: 286